Research Interests

My research specializes in financial econometrics, focusing on the identification of tail risk and the mechanisms underlying systemic fragility and risk contagion across interconnected financial systems. My approach combines extreme value theory, network analysis, and empirical asset pricing. I also develop open-source statistical software to support reproducible research.

Key questions: Where does risk in financial markets originate? How can it be measured? Is risk incorporated into financial returns?

Published Papers
[1]
Nicolas, M. L. (2025). Tail risk exposure and the cross section of expected stock returns. Journal of Banking & Finance. ssrn.com/abstract=4956412 Code & Data: github.com/maximenc/Tail-Risk-Exposure-Cross-Section
[2]
Garcin, M., & Nicolas, M. L. (2024). Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. Statistical Papers. 10.48550/arXiv.2111.11128 Code & Data: github.com/maximenc/pycop
[3]
Nicolas, M. L., Desroziers, A., Caccioli, F., & Aste, T. (2024). ESG reputation risk matters: An event study based on social media data. Finance Research Letters. 10.1016/j.frl.2023.104712 Code & Data: available upon request
[4]
Nicolas, M. L. (2022). Estimating a model of herding behavior on social networks. Physica A: Statistical Mechanics and its Applications. 10.1016/j.physa.2022.127884 Code & Data: available upon request
[5]
Boulu-Reshef, B., Bruneau, C., Nicolas, M., & Renault, T. (2022). An Experimental Analysis of Investor Sentiment. In Behavioral Finance and Asset Prices: The Influence of Investors' Emotions. Springer. 10.1007/978-3-031-24486-5_6
Working Papers
[6]
Garcin, M., & Nicolas, M. L. (2025). Directional Dependence of Extreme Events. To be submitted: Econometric Theory
[7]
Nicolas, M. L., Sicard, F., Rodriguez M. A., & Zixin, S. (2025). Is Bitcoin A Hedge Against Central Banking? Evidence from an AI-Driven Monetary Policy Expectations. Code & Data: github.com/maximenc/Bitcoin-Monetary-Policy-Expectations
[8]
Nicolas, M. L., Rodriguez M. A., & Caccioli, F. (2025). Do ETFs increase systemic risk? To be submitted: Journal of Financial Markets
[9]
Aste, T., Barucci, E., Nicolas, M. L. D., & Stocco, D. (2024). Resilience of Market Returns around ESG Controversies: Insights from the S&P 100. ssrn.com/abstract=5031012
[10]
Levy, S., & Nicolas, M. L. (2024). Modern Portfolio Diversification with Arte-Blue Chip Index. arxiv.org/abs/2409.18816
Software
[11]
Nicolas, M. L. (2022). pycop: a Python package for dependence modeling with copulas. Zenodo Software Package. Software 10.5281/zenodo.7030034  ·  Details